When you click the Create List button from the Fields View you can enter in a Code (stored value) and a Label/Description (displayed value) but there is no option to define the Split and Merge Policies. You need to use the rest services or the ArcGIS API for Python / alternative API. (Merge Polices for Range Domains)
This option should be made more accessible from the page where you are creating the domains.
Same when creating a Range Value Domain, no Split/Merge Policy available.